Whittle estimation of EGARCH and other exponential volatility models
نویسندگان
چکیده
منابع مشابه
Whittle Estimation of Exponential Volatility Models
The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Among many models of interest, this class includes one-shock models, such as the EGARCH model of Nelson (1991), and two-shock models, such as the SV model of Taylor (1986). The variable of interest might not have finite fractional moment of an...
متن کاملVolatility Forecasting With Range-Based EGARCH Models
We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor’s 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor structure or fractional integration, that allows f...
متن کاملExponential Conditional Volatility Models
The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score. Keywords: Duration models; g...
متن کاملNonstationarity-extended Whittle Estimation
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework includes the widely used FARIMA models with GARCH-type innovations. To cover nonstationary fractionally integrated processes, we extend the idea of Abadir, Distaso and Giraitis (2007, Journal of Econometrics 141, 13531384)...
متن کاملModified Whittle estimation of multilateral models on a lattice
In the estimation of parametric models for stationary spatial or spatio-temporal data on a ddimensional lattice, for d 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard convergence rate, faces two obstacles. One is the “edge effect”, which worsens with increasing d . The other is the possible difficulty of computing a continuou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2009.03.008